Essays about: "Gatheral model"
Found 1 essay containing the words Gatheral model.
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1. A second order Runge–Kutta method for the Gatheral model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this thesis, our research focus on a weak second order stochastic Runge–Kutta method applied to a system of stochastic differential equations known as the Gatheral Model. We approximate numerical solutions to this system and investigate the rate of convergence of our method. READ MORE
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